Articles by Mauro Cesa
How to account for banks’ contribution to CO2 emissions
Price adjustments will depend on individual counterparties’ carbon footprints
Exploiting causal biases in market impact models
Model calibration gains efficiency by including biased but adjusted trading data
Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Into the quantiverse: real-world pricing goes arbitrage-free
QRM quants claim to have bridged divide across ‘multiverse’ of fixed-income models
Optical computer beats quantum tech in tricky settlement task
Microsoft’s analog technology twice as accurate compared to IBM’s quantum kit in Barclays experiment
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
Podcast: Jan Rosenzweig on fat tails and LDI portfolios
An optimised portfolio can look very different when extreme moves are given more weight
Baruch topples Princeton in Risk.net’s quant master’s rankings
US schools cement top five dominance as graduate salaries soar
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
Podcast: Barzykin and Guéant on FX market-making
Industry quant teams up with academics to build better risk tools for FX markets
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
Podcast: Zetocha on mini-futures (not those) and illiquid options
Julius Baer equity quant revels in solving problems for the trading desk
Podcast: Halperin on reinforcement learning and option pricing
Fidelity quants working on machine learning techniques to optimise investment strategies
Bot’s job? Quants question AI’s model validation powers
But supervisors cautiously welcome next-gen model risk management
Podcast: Piterbarg and Antonov on alternatives to neural networks
Two novel approximation techniques can overcome the curse of dimensionality
A new approach to marking volatility of illiquid options
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
Quants search for way to size crypto bets
Standard models say as much as 4% of a diversified portfolio could go into digital assets
Podcast: the right way to wrong-way risk and climate risk in XVA
MUFG quant thinks outside the box on risk management
Should you hedge or should you wait?
New paper introduces quantitative framework for optimal FX hedging
Adia hires three to join its growing supergroup of quants
Alexandre Antonov, Adil Reghai and Andrey Itkin join unit at world’s third-largest wealth fund